Firstly, I’m going to assume that you are much more familiar with Game of Thrones and devote the bulk of my reply to explaining the show that is Fate/Zero because while there are similarities, it is actually very much it’s own show and it’s great and deserves all the attention it can get.
MULTIPLE POV: Much like Game of Thrones, F/Z features a big cast of characters with their own motivations and distinct personalities working towards a specific shared goal, in this case obtaining victory in the Holy Grail War, which is known as Heaven’s Feel. Now this Holy Grail War is very, very specific - it takes place in an isolated town and only the participants (Masters and Servants) are aware of what is going on, so while it does not have the wide scope GOT has, I’d like to add that the isolated setting focuses all the action and tension to one space so that everything is much more intense – it’s more of a battle royal as opposed to all out war and I think it’s great. The stakes are much higher and the gratification is much more personal because this isn’t about a throne, this is about gaining the Grail to grant the wish dearest to your heart and when you go as personal as that, it’s much more easier to relate to the characters and their motivations and actions. It lays them bare and open to the viewers and catches hold of your heart and makes you want to root for them to win. GOT is a show that did it well - you are introduced to a big cast of characters and it is up to you to decide where your sympathies and lie and it’s more or less the same in F/Z because Urobuchi Gen does a wonderful job of portraying his characters and showing the reasons for their actions and the consequences and the way they have to deal with it. If you thought that the death count in GOT is bad enough, clearly you need to rethink because even the author of the light novels have stated that this is a “cruel and merciless battle of elimination” so be forewarned that people rarely make it out alive at the end of the series, and even if they do they probably wish they were that. That’s what you get when you play a game with stakes as high as this, and I like that these events not only have consequences, but they require sacrifices and loss that are permanent.
THE WOMEN ARE THE STRONG ONES: In addition, like Game of Thrones, F/Z has a great cast of female characters who are all strong in their own rights, and I really like that because it isn’t a given thing that you have female characters that actually get serious writing in a show dominated by men (even more so when you’re talking about anime, as sad as I am to have to admit this) and it warms my heart that this show doesn’t treat its female characters badly, as opposed to say, it’s sequel Fate/Stay Night.
A CLASH OF KINGS: In this Heaven’s Feel, there are three kings summoned and they all hold different opinions on what it means to be a king and how does one go about being king. There was one episode in the anime where a good twenty minutes was spent just watching them drink and talk, and it was extremely fascinating not only because it provided some great characterization for each of them, but also in the way it showed the dynamics between the three of them and see how the core difference in their beliefs come out in the way they are going to fight with each other later on. I very much look forward to the clash between these three kings,when time comes for it to pass.
DUTY AND HONOUR: Heaven’s Feel is essentially a game where there are only four core rules and as long as the participants do not break those rules, anything is allowed. On the battleground, we see a dichotomy of differing opinions whereby one side believes in the honor and glory of battle, whereas there is one other side that believes the end justifies the means and are willing to use all ends to attain victory. It is fascinating enough when you have competitors battling it out against each other when they share such radically different opinions, so when you have a Master-Servant duo that cannot understand each other at all due to said difference yet are working towards the same goal, you get some very interesting verbal clashes and conflict between characters. This is where the writing for the characters shine, there is no correct answer to this question because each person has their own line and sense of morality and in the end, it’s about making a best worst decision in a bad situation and some may side with Saber, some with Kiritsugu and both teams would be entitled to their opinion. Fate/Zero is not a show where the good characters and bad characters are clearly drawn out for you, it is a show about characters that live in that grey area and are not afraid to get blood on their hands for the sake of their goals and I like that. Just like in Game of Thrones. In addition, we have Servants like Saber and Lancer who value their honour as knights highly, even willing to die for it, only to meet a tragic end as their ideals are too pure for a game such as this. Servants often find themselves torn beteeen their own code of honour and loyalty towards their Master, and it’s interesting to see what kind of choice they make in the face of that; that, or the way the Master forces the Servant to bend to his will and the resulting friction between them in their partnership afterwards. And of course, there is friction between the Masters as well – friction between Masters from the three great magi clans who use vastly different methods to attain the same goal, friction between the magi and the outcast magi and so on. Everybody is interconnected and at odds with each other, and it’s interesting to see how it all plays out.
While Fate/Zero and Game of Thrones are marketed as sword and sorcery fantasy, both are very realistic in the way war and battles are depicted. There is less glorifying of the horrors of the battlefield, there is more dark and gritty details on the ugly side of it and characters are not above a bit of scheming and plotting, yet the author does not condemn them for their actions because they are all complex characters who are morally ambiguous and have very good reasons for doing the things they did. And we as viewers and readers are given even chance to get to know all sides of the story and as a result of that, you get invested in the outcome of the game and even though it breaks your heart, you still continue. And you break your heart some more. Sigh.